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Modeling realized covariances and returns
Jin, Xin; Maheu, John M. - In: Journal of financial econometrics : official journal of … 11 (2013) 2, pp. 335-369
Persistent link: https://www.econbiz.de/10009745817
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A new structural break model, with an application to Canadian inflation forecasting
Maheu, John M.; Song, Yong - In: International journal of forecasting 30 (2013) 1, pp. 144-160
Persistent link: https://www.econbiz.de/10010246985
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Identifying bull and bear markets in stock returns
Maheu, John M.; McCurdy, Thomas H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 100-112
Persistent link: https://www.econbiz.de/10001441612
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Can GARCH models capture long-range dependence?
Maheu, John M. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10003283982
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Are there structural breaks in realized volatility?
Liu, Chun; Maheu, John M. - In: Journal of financial econometrics : official journal of … 6 (2008) 3, pp. 326-360
Persistent link: https://www.econbiz.de/10003748061
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Components of market risk and return
Maheu, John M.; McCurdy, Thomas H. - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 560-590
Persistent link: https://www.econbiz.de/10003570729
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News arrival, jump dynamics, and volatility components for individual stock returns
Maheu, John M.; McCurdy, Thomas H. - In: The journal of finance : the journal of the American … 59 (2004) 2, pp. 755-793
Persistent link: https://www.econbiz.de/10002013824
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Learning, forecasting and structural breaks
Maheu, John M.; Gordon, Stephen F. - In: Journal of applied econometrics 23 (2008) 5, pp. 553-583
Persistent link: https://www.econbiz.de/10003760413
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Components of Market Risk and Return
Maheu, John M.; McCurdy, Thomas H. - 2020
This paper proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce forecasts of a time-varying market equity premium. Our parsimonious volatility model allows components to decay at different rates, generates mean-reverting forecasts, and...
Persistent link: https://www.econbiz.de/10014351609
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Components of Market Risk and Return
Maheu, John M.; McCurdy, Thomas H. - 2020
This article proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce forecasts of a time-varying market equity premium. Our parsimonious volatility model allows components to decay at different rates, generates mean-reverting forecasts, and...
Persistent link: https://www.econbiz.de/10014352438